To answer the questions in terms of how you asked it.
This is actually REALLY easy (in Internet Explorer, at least), i did it in like 17.5 seconds.
If you use the custom script that cxfx provided: (place it in your apsx file)
<script language="VBScript">
Sub myAlert(title, content)
MsgBox content, 0, title
End Sub
</script>
You can then call it just like you called the regular alert. Just modify your code to the following.
Response.Write("<script language=JavaScript> myAlert('Message Header Here','Hi select a valid date'); </script>");
Hope that helps you, or someone else!